A global optimization algorithm for generalized semi-infinite,continuous minimax with coupled constraints and bi-level problems |
| |
Authors: | Angelos Tsoukalas Berç Rustem Efstratios N Pistikopoulos |
| |
Institution: | (1) Department of Computing, Imperial College, London, UK;(2) Centre for Process Systems Engineering, Imperial College, London, UK |
| |
Abstract: | We propose an algorithm for the global optimization of three problem classes: generalized semi-infinite, continuous coupled
minimax and bi-level problems. We make no convexity assumptions. For each problem class, we construct an oracle that decides
whether a given objective value is achievable or not. If a given value is achievable, the oracle returns a point with a value
better than or equal to the target. A binary search is then performed until the global optimum is obtained with the desired
accuracy. This is achieved by solving a series of appropriate finite minimax and min-max-min problems to global optimality.
We use Laplace’s smoothing technique and a simulated annealing approach for the solution of these problems. We present computational
examples for all three problem classes. |
| |
Keywords: | Generalized semi-infinite Minimax Bi-level Globaloptimization Min-max-min |
本文献已被 SpringerLink 等数据库收录! |
|